Hi PuzzledUser17,
Welcome to the Forum.
Were you referring to downloads from the Windows Store?
I'm not really a gaming person, but it occurred to me your game may be closing so the download can initialize and install itself to update the game app. So the issue you describing may actually be normal behavior.
If you are sure its more of a bug issue it would help to know more about what game, and how you are downloading it and where you are downloading it from etc, as those in the Forum who do know about games will probably need that information to be able to help you.